Financial economists have long been interested in market efficiency—how financial-market participants process information, which in turn improves the quality of the markets. In recent years, financial economists have turned their attention to the actual organization (or microstructure) and regulation of financial markets and the relationship of these markets with informational efficiency. The unprecedented wave of innovations in products and information technology has further brought the issues of market efficiency and competition between different market systems to the forefront of academic research. In this study, we analyze liquidity and informational efficiency in the context of option markets—topics that are particularly challenging to practitioners and academics because the information flow incorporates price and volatility information.